important results: (i) Spot and forward rates are explicit functions of the number of policy meetings during the time to … maturity rather than the time to maturity itself. Consequently, the forward rate curve is step-shaped. (ii) In addition, there … are calendar time effects, i.e. the position within the policy cycle is also of importance, especially for short term …

unlikely to be stable. This paper documents the time variation in the responses of yield curves and exchange rates using high …-frequency data from January 2000 through August 2011. Significant time variation in news effects is present for those announcements … that have the largest effects on asset prices. The time variation in effects is explained by economic conditions, including …

unlikely to be stable. This paper documents the time variation in the responses of yield curves and exchange rates using high … frequency data from January 2000 through August 2011. Significant time variation in news effects is present for those … announcements that have the largest effects on asset prices. The time variation in effects is explained by economic conditions …